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Capital asset pricing model : some econometric tests (1978)

Author: Jahankhani, Ali; Bey, Roger P. joint author; University of Illinois at Urbana-Champaign. College of Commerce and Business Administration
Volume: BEBR No. 498
Subject: Capital assets pricing model
Publisher: [Urbana, Ill.] : College of Commerce and Business Administration, University of Illinois at Urbana-Champaign
Language: English
Call number: 317418
Digitizing sponsor: University of Illinois Urbana-Champaign
Book contributor: University of Illinois Urbana-Champaign
Collection: university_of_illinois_urbana-champaign; americana
Notes: faded text throughout.

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Includes bibliographical references (leaves [21-25])

"This study presents some empirical tests of the Capital Asset Pricing Model (CAPM) using more robust statistical tests. Specifically, the restrictive assumptions of stationarity of beta and independence of error terms in the market model were relaxed. The betas of securities were estimated by the systematic-parameter varying regression technique. This technique does not assume that beta is stationary over time. However, it makes the assumption that beta is changing systematically with the accounting measures of risk. Also, the independence of the error terms (residual returns) was relaxed by estimating the betas of a group of firms in one industry simultaneously."

"Our research indicated that there is a linear relationship between risk and return and higher risk is associated with higher average return. These results are consistent with the implications of both Sharpe-Lintner version and Black version of the CAPM. Furthermore, our results did not reject the hypotheses that E(Y0)=Rf and E(Y1)=Rm-Rf. therefore, the empirical results of this study supported all the implications of the Sharpe-Lintner CAPM."

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